On Sun, 4 Apr 2004 16:24:22 +0200 (CEST), Kjetil Halvorsen wrote:
On Sat, 03 Apr 2004 21:34:25 -0400, you wrote:
Defining the following:
set.seed(123)
kalmanTorture <- function(iter) {
x <- arima.sim(model = list(ar=0.9, ma=0.5),n=150 )
x[10:20] <- NA
mod <- arima(x, order=c(1,0,1) )
for (i in 1:iter) {
smooth <- KalmanSmooth(x, mod=mod$model)$smooth
if (any(is.na(smooth))) stop("NA on iteration ",i) }
}
and running in R1.9.0beta (equal in R1.8.1), windows XP, precompiled
binaries:
kalmanTorture(1000)
Error in kalmanTorture(1000) : NA on iteration 147
kalmanTorture(1000)
Found it. The entries in the Mt array in KalmanSmooth weren't being initialized in the cases where data was missing. The value was being multiplied by zero, so if it was numerically valid junk it had no effect, but if it happened to be a NaN, the multiplication gave another NaN. I'll commit a patch. Duncan Murdoch